Get a 256MB USB stick, or larger.
A USB stick is also known as "flash drive", "pen drive", "thumb drive", "jump drive", "memory stick" and so forth.
It doesn’t matter what size the stick is because the MemTest86+ file is only 180KB big.Tekno Venus wrote "I have installed it on a 128MB USB stick with no issues".Note: The files/folders present in it will be DELETED. If you need them, copy them to another safe place (i.e., create a backup).

Extract/unzip it to your preferred place (directly in the download folder, on the desktop, a new folder, an existing folder... It's your choice).
As an example, I "unzipped" it directly in the download folder.
Windows should be able to unzip the folder on its own (after some actions/clicks made by you).
If this won't be the case, you can download/install 7-zip, open source and free, latest stable version from 7-zip.org or sourceforge.net.

Plug in your USB stick.

Launch the included application: Memtest86+ USB Installer.exe.
Check/tick the option to format the drive to reduce the risk of any install issues.Notes:

This will erase all data on the USB stick.
If you'll get the following error:

You'll have to either clean (with diskpart or other tools) and re-format the USB stick or you'll must use another USB stick, even if the usb installer application will say it will work (when its procedure will be finished).

Extract/unzip it to your preferred place (directly in the download folder, on the desktop, a new folder, an existing folder... It's your choice).
As an example, I "unzipped" it directly in the download folder.
Windows should be able to unzip the folder on its own (after some actions/clicks made by you).
If this won't be the case, you can download/install 7-zip, open source and free, latest stable version from 7-zip.org or sourceforge.net.

Put the CD/DVD in your CD/DVD drive.

Right click the unzipped file memtest86+-5.01.iso and choose Open With -> Windows Disk Burner
If Windows Disk Burner shouldn't be available, you can use your preferred CD/DVD burner program (like imgburner, cdburnerxp, ashampoo burning studio 2017, and so forth).
Example with cdburnerxp free:

It chooses the write speed on its own and it isn't editable (at least when I tried it on my system).

Click write cd (or write dvd).

Leave the USB stick, or CD/DVD, inserted.
To access the boot menu, reboot your computer.
During the initial stages of the boot process, press the applicable key as prompted.
Select the USB stick, or the CD/DVD disc, with MemTest86+ on it.

If the program won't start after a few of seconds, and you'll be redirected to the boot menu, you'll have to enable the CSM (Compatibility Support Module) in your BIOS settings.
This is also known as Launch CSM or boot: legacy (instead of boot: uefi).
To enter the BIOS settings, during the initial stages of the boot process, press the applicable key as prompted.

If you can't find CSM, it could be necessary to disable the Fast boot feature (in your BIOS settings).
If you still can't find it, try to also disable the Secure boot feature.

Wait a few of seconds and MemTest86+ will be available on your screen.
You can use the letters between parenthesis to access its menus.

Note:
In version 5.01, Multi-Core (SMT) testing was introduced.
This is a feature designed to speed up test times.
To enable this feature, press the F2 key within a few seconds of booting into MemTest86+.
BTW, it seems there is a bug linked to this new feature, hence I do not recommend it.

Main menus:

Esc key: to exit the program

C key: to enter in configuration

SP (scroll lock key?)

CR (scroll unlock??)

Wait until it reaches at least 8 passes or until an error appears.
This test could take few hours.

Added by Philc43: as an example, on some systems with 32GB RAM could take 1-2 days.
In this case it can be an advantage to breakdown the testing into steps of one or two modules at a time and run the tests overnight.

Re: Test RAM with memtest.org MemTest86+

Thanks for this updated version. Could I also suggest you add a comment about the length of time it takes? For example a 32GB system could take 1-2 days on some systems. In this case it can be an advantage to breakdown the testing into steps of one or two modules at a time and run the tests overnight.

Also note that when errors are found with a single stick it is also worth testing that stick in other slots to check that the errors are not due to a MB slot problem.

Re: Test RAM with memtest.org MemTest86+

Nice guide.
The only thing I would add is every live CD/DVD which is created by Linux will have included the Memtest86.
I love the fact you have explained the booting sequences that is something most people might miss when they trying to boot.
Again great work I love the guide.